Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0001 |
| Annualized Std Dev | 0.2458 |
| Annualized Sharpe (Rf=0%) | -0.0006 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3369.0000 |
| NAs | 1.0000 |
| Minimum | -0.1777 |
| Quartile 1 | -0.0068 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0075 |
| Maximum | 0.1511 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0155 |
| Skewness | -0.7366 |
| Kurtosis | 14.5311 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0115 |
| Gain Deviation | 0.0104 |
| Loss Deviation | 0.0128 |
| Downside Deviation (MAR=210%) | 0.0160 |
| Downside Deviation (Rf=0%) | 0.0115 |
| Downside Deviation (0%) | 0.0115 |
| Maximum Drawdown | 0.6186 |
| Historical VaR (95%) | -0.0237 |
| Historical ES (95%) | -0.0383 |
| Modified VaR (95%) | -0.0239 |
| Modified ES (95%) | -0.0496 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2008-11-20 | 2010-10-13 | -0.6186 | 743 | 267 | 476 |
| 2018-01-29 | 2020-03-23 | NA | -0.4834 | 792 | 541 | NA |
| 2011-05-02 | 2016-01-21 | 2018-01-26 | -0.4473 | 1697 | 1189 | 508 |
| 2011-01-06 | 2011-03-16 | 2011-04-07 | -0.1136 | 64 | 48 | 16 |
| 2010-11-05 | 2010-11-23 | 2010-12-31 | -0.0632 | 39 | 13 | 26 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -4 | 0.3 | 0.2 | -3.4 |
| 2008 | 1.2 | -1.4 | 2 | 1.4 | -0.2 | -1.8 | -0.2 | -0.6 | -0.4 | 5.2 | -5.1 | 2.8 | 2.7 |
| 2009 | -2.1 | -0.2 | 5.5 | 2.3 | 2.9 | 2.4 | 1 | -1.1 | -2.6 | -3.2 | 1.7 | 0 | 6.4 |
| 2010 | 1 | 1.7 | 1.6 | -1.7 | -2.2 | 0.4 | 0.4 | 2.3 | 1.2 | 0.5 | 2.5 | 0.7 | 8.4 |
| 2011 | 1.6 | -1.4 | 1.6 | 0.6 | -1.1 | 0.9 | -0.3 | -0.5 | -3 | -1.8 | -0.5 | 0.3 | -3.6 |
| 2012 | 2.2 | 1.6 | 1 | 0.2 | -2.6 | 3 | 0.5 | 1 | 1.3 | 1.6 | -0.1 | 1.5 | 11.6 |
| 2013 | 0.8 | 0.6 | -0.7 | -0.9 | -1.7 | 0 | 1.2 | 0.8 | 1.6 | -0.4 | 1 | 0.4 | 2.5 |
| 2014 | 0 | -0.6 | 1.1 | 0.3 | -0.5 | 0.8 | 1 | 0.2 | -1.2 | -0.2 | -0.8 | 0 | -0.1 |
| 2015 | -2.1 | -0.1 | 1 | 0.1 | -0.5 | 0.4 | 0.9 | -2.5 | 0.6 | -0.2 | 0.7 | -0.4 | -2 |
| 2016 | -0.5 | 3.2 | 0.4 | -0.1 | 0 | 0.8 | -0.1 | 0.5 | 0.8 | -0.8 | -1 | -0.4 | 2.8 |
| 2017 | 0.4 | 1.5 | -0.2 | 0.3 | 0.5 | 0.8 | 0.4 | 0.7 | 1.3 | 0.4 | -0.2 | 0.8 | 6.6 |
| 2018 | -0.5 | 0.4 | 1.4 | -0.6 | 0.8 | 1.5 | -0.6 | 0.7 | 0 | 3.3 | -0.2 | -0.1 | 6.4 |
| 2019 | -0.3 | 0.4 | 1.8 | -0.8 | 0.7 | 0.7 | -2.1 | 0.3 | -0.6 | 0.9 | -0.8 | 0.6 | 0.7 |
| 2020 | -1.8 | -0.8 | -3.3 | -3.2 | 2.3 | 1.7 | -0.4 | 0.8 | 1 | -1 | 1 | -0.1 | -3.9 |
| 2021 | 1.9 | 1.9 | 1.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-10-30 51.4 SPY 153. -0.0069 0.0086 -0.008 0.0453 0.110 0.352 0.708 GLD 77.4 -0.0099 0.0282
2 2007-10-31 52.6 SPY 155. 0.0104 0.0209 0.0036 0.0478 0.122 0.366 0.746 GLD 78.6 0.0164 0.041
3 2007-11-01 50.5 SPY 151. -0.0234 -0.0053 -0.0179 0.0503 0.0961 0.330 0.689 GLD 77.9 -0.0088 0.025
4 2007-11-02 51.1 SPY 151. 0.0011 -0.0158 -0.0183 0.0341 0.105 0.332 0.708 GLD 79.8 0.0244 0.0275
5 2007-11-05 50.6 SPY 150. -0.0076 -0.0265 -0.0372 0.0154 0.097 0.305 0.662 GLD 79.8 -0.001 0.0209
6 2007-11-06 52.1 SPY 152. 0.0135 -0.0065 -0.019 0.015 0.114 0.305 0.669 GLD 81.4 0.0211 0.0527
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
